Quantitative Risk Analyst – Model Development

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Job Description

The Role

  • Development of behavioural models to support business decision making and estimation of regulatory capital. This includes but is not limited to: Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) models
  • Performing segmentation analysis and calibration of models
  • Defining the standards and methodologies required to deliver these models
  • Extracting, transforming, and cleaning the data required for modelling
  • Engaging with customer facing Business to understand how our models can support their decision making
  • Engaging with regulatory bodies as part of the on-going cycle of regulatory review of our models

Desired Experience

  • A bachelor’s degree in a quantitative analytical discipline (2.1 or higher), e.g. mathematics, applied mathematics, physics, statistics, engineering, econometrics
  • 3+ years’ experience developing Probability of Default (PD), Loss Given Default (LGD), or Exposure at Default (EAD) models for IRB - equivalent experience in an alternate modelling type would be considered e.g. macroeconomic forecast models, IFRS9 models
  • Ideally have Advanced level of SAS or SQL programming – an equivalent level in an alternate programming language would be considered (e.g. R, Python, Matlab)
  • Advanced experience in extracting, transforming, and cleaning data for modelling purposes
  • Experience writing technical documents that meet internal and regulatory standards
  • Experience in engagement with regulatory bodies
  • Experience training and managing the day to day tasks of junior team members

Please send CVs to hugh.bregazi@cpl.ie or call me on 01 - 947 6327

Apply via LinkedIn

Hugh Bregazzi

Principal Consultant 01 947 6327 Hugh.bregazzi@cpl.ie